Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/15362
Título: An analog model for global macro investing
Autor: Correia, Gonçalo Guimarães
Orientador: Lameira, Pedro
Palavras-chave: Global macro
Asset allocation
Trading strategy
Data de Defesa: Jan-2015
Resumo: This study proposes a systematic model that is able to fit the Global Macro Investing universe. The Analog Model tests the possibility of capturing the likelihood of an optimal investment allocation based on similarity across different periods in history. Instead of observing Macroeconomic data, the model uses financial markets’ variables to classify unknown short-term regimes. This methodology is particularly relevant considering that asset classes and investment strategies react differently to specific macro environment shifts.
URI: http://hdl.handle.net/10362/15362
Designação: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Aparece nas colecções:NSBE: Nova SBE - MA Dissertations

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